Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles.

Genya Kobayashi

Published in: Comput. Stat. (2016)

Keyphrases

stochastic model
high level
objective function
data analysis
management system
parameter estimation
computational model
empirical data
data sets
support vector
mathematical model
monte carlo
experimental data